CBOE Holdings Reports September 2012 Consolidated Trading Volume: 92.9 Million Total Contracts; 4.9 Million Contracts ADV

October 1, 2012

CBOE Holdings

-- CBOE Holdings Volume Up 23% from August
-- VIX Futures - Busiest Month Ever, ADV Up 170% from Year Ago

CHICAGO, Oct. 1, 2012 /PRNewswire/ -- CBOE Holdings, Inc. (NASDAQ: CBOE) reported today that September 2012 consolidated trading volume for options contracts on the Chicago Board Options Exchange® (CBOE®) and C2 Options ExchangeSM (C2SM) and futures contracts on CBOE Futures Exchange SM (CFE®), totaled  92.9 million contracts. 

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  • September 2012 average daily volume (ADV) for the three exchanges, combined, was 4.9 million contracts, a two-percent decrease from 5.0 million contracts ADV in September 2011, and a 23-percent increase from nearly 4.0 million contracts ADV in August 2012.
  • Year to date through September, consolidated ADV for the three exchanges was 4.7 million contracts, down seven percent from 5.0 million contracts ADV for the same period a year ago.

CBOE Holdings Consolidated Trading Volume

Year-To-Date

(trades in thousands)

Sep-12

Sep-11

% Chg

Aug-12

% Chg

Sep-12

Sep-11

% Chg

Trading Days

19

21


23


188

188


Total Contracts - Options and Futures

92,870.4

105,231.6

-12%

91,258.5

2%

878,569.5

945,995.0

-7%

   Total Options Contracts (CBOE & C2)

90,459.9

104,247.2

-13%

89,342.8

1%

862,316.6

936,324.5

-8%

   Futures Contracts

2,410.5

984.4

145%

1,915.7

26%

16,252.9

9,670.5

68%










Total ADV- Options and Futures

4,887.9

5,011.1

-2%

3,967.8

23%

4,673.2

5,005.3

-7%

   Total Options ADV (CBOE & C2)

4,761.0

4,964.2

-4%

3,884.5

23%

4,586.8

4,954.1

-7%

   Futures ADV

126.9

46.9

171%

83.3

52%

86.4

51.2

69%

CBOE Trading Volume and Market Share
CBOE Trading Volume:

  • CBOE ADV — September ADV at CBOE was 4.6 million contracts, up 22 percent from August 2012 ADV of 3.7 million contracts and down three percent from 4.7 million contracts ADV in September 2011. Year to date through September, ADV was 4.4 million contracts, down eight percent from the same period in 2011.
  • The five most actively traded index and ETF options at CBOE during September were S&P 500® Index options (SPXSM), CBOE Volatility Index® (VIX® Index) options, Standard & Poor's Depositary Receipts (SPY) options, iShares Trust Russell 2000 Index Fund (IWM) options and PowerShares QQQ Trust (QQQ) options.

 

CBOE Trading Volume

Year-To-Date

(trades in thousands)

Sep-12

Sep-11

%  Chg

Aug-12

% pt. Chg

Sep-12

Sep-11

%  Chg

Trading Days

19

21


23


188

189


Total Exchange

86,948.4

99,446.7

-13%

86,169.9

1%

824,658.1

897,852.7

-8%

Total Exchange ADV

4,576.2

4,735.6

-3%

3,746.5

22%

4,386.5

4,750.5

-8%

Equity Options

38,213.5

35,019.9

9%

41,522.9

-8%

378,966.3

395,536.6

-4%

Equity Options ADV

2,011.2

1,667.6

21%

1,805.3

11%

2,015.8

2,092.8

-4%

Index Options

26,394.3

29,985.4

-12%

23,303.9

13%

223,016.1

244,664.6

-9%

Index Options ADV

1,389.2

1,427.9

-3%

1,013.2

37%

1,186.3

1,294.5

-8%

ETF Options

22,340.6

34,441.3

-35%

21,343.1

5%

222,675.7

257,651.4

-14%

ETF Options ADV

1,175.8

1,640.1

-28%

928.0

27%

1,184.4

1,363.2

-13%

Expanded September 2012 volume information for CBOE index and ETF options is available at: www.cboe.com/data/monthlyvolume.aspx.

CBOE Market Share:
CBOE September market share was 26.4 percent, up one percentage point from September 2011 and down 1.3 percentage points from August 2012.  If the volume from dividend trades was excluded from industry data for September 2012, CBOE's total market share would be 27.5 percent.

Exclusion of dividend trades from total industry volume data presents a more relevant measure of the relative trends in the options business.

CBOE  Current Month

Year-To-Date


 Sep 2012

 Sep 2011

% pt. Chg

 Aug 2012

% pt. Chg

 Sep 2012

 Sep 2011

% pt. Chg

Total Exchange

26.4%

25.4%

1.0%

27.7%

-1.3%

27.2%

25.6%

1.6%

Total Exchange (excl. dividend trades)

27.5%

26.2%

1.3%

28.7%

-1.2%

28.4%

26.4%

2.0%

Equity Options

21.2%

19.5%

1.7%

22.8%

-1.6%

22.0%

20.8%

1.2%

Equity Option  (excl. dividend trades)

22.8%

19.8%

3.0%

24.2%

-1.4%

23.6%

21.8%

1.8%

Index Options

93.6%

95.7%

-2.1%

93.9%

-0.3%

94.0%

94.7%

-0.7%

Index Options (excl. dividend trades)

93.7%

95.8%

-2.1%

94.0%

-0.3%

94.2%

95.0%

-0.8%

ETF Options

18.5%

19.1%

-0.6%

20.6%

-2.1%

20.8%

19.2%

1.6%

ETF Options (excl. dividend trades)

18.5%

19.9%

-1.4%

20.6%

-2.1%

21.0%

19.4%

1.6%

 

C2 Options Exchange Trading Volume and Market Share

C2 Trading Volume:
In September 2012, ADV on C2 Options Exchange was 184,800 contracts, up 34 percent from August 2012 ADV of 138,000 contracts and down 19 percent from 228,600 contracts ADV in September 2011.

C2 Trading Volume

Year-To-Date

(trades in thousands)

Sep-12

Sep-11

%  Chg

Aug-12

% pt. Chg

Sep-12

Sep-11

%  Chg

Trading Days

19

21


23


188

189


Total Exchange

3,511.5

4,800.5

-27%

3,172.9

11%

37,658.5

38,471.8

-2%

Total Exchange ADV

184.8

228.6

-19%

138.0

34%

200.3

203.6

-2%

Equity Options

1,362.0

1,421.1

-4%

1,395.0

-2%

15,101.0

13,810.8

9%

Equity Options ADV

71.7

67.7

6%

60.7

18%

80.3

73.1

10%

Index Options

99.7

0.0

0%

101.6

-2%

1,104.8

0.0

0%

Index Options ADV

5.2

0.0

0%

4.4

19%

5.9

0.0

0%

ETF Options

2,049.8

3,379.4

-39%

1,676.3

22%

21,452.7

24,661.0

-13%

ETF Options ADV

107.9

160.9

-33%

72.9

48%

114.1

130.5

-13%

C2 Market Share
In September 2012, C2's market share was 1.1 percent, up 0.1 of a percentage point from September 2011 and August 2012.

C2  Current Month

Year-To-Date


 Sep 2012

 Sep 2011

% pt. Chg

 Aug 2012

% pt. Chg

 Sep 2012

 Sep 2011

% pt. Chg

Total Exchange

1.1%

1.0%

0.1%

1.0%

0.1%

1.2%

1.1%

0.1%

Total Exchange (excl. dividend trades)

1.1%

0.9%

0.2%

1.1%

--

1.3%

1.1%

0.2%

Equity Options

0.8%

0.8%

--

0.8%

--

0.9%

0.7%

0.2%

Equity Option  (excl. dividend trades)

0.8%

0.8%

--

0.8%

--

0.9%

0.8%

0.1%

Index Options

0.4%

NA

NA

0.4%

NA

0.5%

NA

NA

Index Options (excl. dividend trades)

0.4%

NA

NA

0.4%

--

0.5%

NA

NA

ETF Options

1.7%

1.9%

-0.2%

1.6%

0.1%

2.0%

1.8%

0.2%

ETF Options (excl. dividend trades)

1.7%

2.0%

-0.3%

1.6%

0.1%

2.0%

1.9%

0.1%

 

CBOE Futures Exchange Trading

  • September 2012 was the most active month ever at CFE as a record 2,410,549 contracts (average daily volume of 126,871 contracts) changed hands. Trading volume in the exchange's flagship product -- CBOE Volatility Index (VIX) futures -- totaled a record 2,400,552 contracts. September's record beat the previous all-time monthly record of 2,154,325 contracts set in June 2012.
  • VIX futures ADV was 126,345 contracts in September, up 170 percent from September 2011 ADV of 46,784 contracts and up 52 percent from August 2012 ADV of 83,016 contracts.
  • Year to date through September, VIX Index futures volume was 68 percent ahead of the same period a year ago. September 2012 marked the 36th consecutive month of year-over-year volume increases in VIX Index futures.
  • VIX Index futures open interest established a new record of 431,265 contracts on September 18.

CBOE Holdings Average Transaction Fee Per Contract
The following represents the average transaction fee per contract based on a three-month rolling average, reported on a one-month lag.  The average transaction fee per contract represents total transaction fees for CBOE, C2 and CFE recognized for the period divided by total contracts traded on all three exchanges during the period.  Average transaction fees per contract can be affected by various factors, including exchange fee rates, volume-based discounts and transaction mix by contract type and product type.

 (In dollars)

Three-Month Period Ended

Product:

August

2012

July

2012

June

2012

May

2012

Equities

$0.122

$0.124

$0.123

$0.117

Indexes

0.684

0.680

0.677

0.673

Exchange Traded Funds

0.177

0.177

0.180

0.176

   Total Options Average Transaction Fee Per Contract

0.286

0.289

0.288

0.279

Futures

1.626

1.598

1.607

1.650

   Total Average Transaction Fee Per Contract

$0.315

$0.316

$0.314

$0.304

About CBOE Holdings:
CBOE Holdings, Inc. (NASDAQ: CBOE) is the holding company for Chicago Board Options Exchange (CBOE), the CBOE Futures Exchange (CFE) and other subsidiaries.  CBOE, the largest U.S. options exchange and creator of listed options, continues to set the bar for options and volatility trading through product innovation, trading technology and investor education. CBOE Holdings offers equity, index and ETF options, including proprietary products, such as S&P 500 options (SPX), the most active U.S. index option, and options and futures on the CBOE Volatility Index (the VIX Index). Other products engineered by CBOE include equity options, security index options, LEAPS options, FLEX options, and benchmark products such as the CBOE S&P 500 BuyWrite Index (BXM). CBOE Holdings is home to the world-renowned Options Institute and www.cboe.com, the go-to place for options and volatility trading resources. CBOE is regulated by the Securities and Exchange Commission (SEC), with all trades cleared by the OCC.

CBOE®, Chicago Board Options Exchange®, CFE®, FLEX®, LEAPS®, CBOE Volatility Index® and VIX® are registered trademarks, and BuyWriteSM, BXMSM, CBOE Futures ExchangeSM, SPXSM and The Options Institute are service marks of Chicago Board Options Exchange, Incorporated (CBOE). C2SM, C2 Options ExchangeSM and SPXpmSM are service marks of C2 Options Exchange, Incorporated (C2). Standard & Poor's® , S&P® and S&P 500® are registered trademarks of Standard & Poor's Financial Services, LLC and have been licensed for use by CBOE, C2 and CFE. All other trademarks and service marks are the property of their respective owners.

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SOURCE CBOE Holdings, Inc.

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